Dave Rennie's side have won their opening six PRO14 matches, including an impressive away win against Toyota Cheetahs at high altitude on Friday. This weekend see a change of competition but Ruaridh Jackson says the Warriors will have the same mindset at Sandy Park.
Speaking to BBC Scotland, Ruaridh said: "We go into every competition wanting to win it. We've got off to a great start to the season winning sometimes when we are not at our best, which is a great trait to be building. We're full of confidence.
"Europe is another step up in intensity. We know Exeter will step up their intensity too and it's going to be a real battle for us.
"There's no harder place to start than going down to the champions of England to get your European campaign off the mark.
"But if you want to win this competition you have to beat the best and that means doing a job this weekend, and we're excited about that."
Ruaridh was with Harlequins last season when Warriors reached the Champions Cup quarter-finals for the first time, and he believes his team-mates' achievement stands them in good stead this time round.
"In the last four of five years we've been on great form but never got to the knockout stage, but to get out the group phase last season means it's not something we need to talk about any more.
"If we can make Scotstoun a fortress and pick up some away wins, we'll be in a great place."